Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0606 |
| Annualized Std Dev | 0.2838 |
| Annualized Sharpe (Rf=0%) | -0.2137 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4441.0000 |
| NAs | 1.0000 |
| Minimum | -0.2786 |
| Quartile 1 | -0.0052 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0059 |
| Maximum | 0.2256 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0003 |
| Stdev | 0.0179 |
| Skewness | -1.3874 |
| Kurtosis | 37.8601 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0135 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0171 |
| Downside Deviation (MAR=210%) | 0.0175 |
| Downside Deviation (Rf=0%) | 0.0135 |
| Downside Deviation (0%) | 0.0135 |
| Maximum Drawdown | 0.8564 |
| Historical VaR (95%) | -0.0216 |
| Historical ES (95%) | -0.0446 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0222 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-23 | 2020-03-18 | NA | -0.8564 | 3504 | 3250 | NA |
| 2004-01-14 | 2004-05-10 | 2004-12-27 | -0.1914 | 240 | 81 | 159 |
| 2004-12-28 | 2005-04-18 | 2007-04-09 | -0.1447 | 573 | 77 | 496 |
| 2003-08-04 | 2003-09-29 | 2003-12-02 | -0.0500 | 85 | 40 | 45 |
| 2003-12-12 | 2003-12-16 | 2003-12-22 | -0.0144 | 7 | 3 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | 0.1 | 0 | 0.3 | 0.6 | 0.9 | -0.3 | 1.6 |
| 2004 | 1.1 | 0.5 | 0.1 | 1.3 | -1.4 | 0.6 | 0.2 | -0.2 | 1.1 | 0.7 | 0.8 | 0 | 4.9 |
| 2005 | 1.1 | 0.6 | -0.6 | -0.4 | -0.5 | 0.9 | 0.5 | 0.5 | 0.9 | -0.3 | -0.1 | -0.6 | 2 |
| 2006 | 0.7 | 0.3 | -0.3 | 0 | 1.3 | -0.3 | 0.3 | 0.1 | 0.1 | -0.4 | 0.2 | 0.3 | 2.3 |
| 2007 | 0.1 | 0 | 0.3 | -0.3 | 0.4 | 0.2 | -2 | 1.3 | 0 | -1.4 | 4.2 | 0.7 | 3.4 |
| 2008 | 0.9 | -3.3 | 3.2 | 1 | -0.5 | 0.8 | 1.3 | 0.2 | 5.2 | 3.2 | -12 | 5.9 | 4.7 |
| 2009 | -3 | -5.8 | 3.1 | 6.2 | 3.5 | 2.2 | 3.6 | -0.5 | -1.8 | -2.7 | 1.8 | -0.2 | 5.9 |
| 2010 | 3.3 | 1.7 | 0.2 | 0.7 | -0.7 | -1.8 | 0.4 | 1.9 | -0.8 | 0.2 | 0.3 | 1.3 | 7 |
| 2011 | 0.4 | -0.8 | 0.2 | -0.3 | -0.2 | 1.6 | 3.1 | 1.1 | -1 | -1.3 | 2.2 | 0.4 | 5.3 |
| 2012 | 1.1 | 0.9 | 1.3 | 0.6 | -1 | 1.5 | 0.5 | 0.5 | 0.3 | 1.5 | -0.6 | 2.1 | 8.9 |
| 2013 | 0.2 | -0.1 | 0.5 | 0.3 | 0.1 | 0.7 | 0.9 | 0.5 | 0.9 | 0.3 | 0.2 | 0.6 | 5.2 |
| 2014 | -0.2 | 0.6 | 0.4 | 0.8 | -0.3 | 0.1 | -2 | 0.7 | 1.2 | 0.1 | -0.3 | 4.7 | 6 |
| 2015 | -0.1 | 1.2 | 0 | -0.5 | 1 | 2.1 | 0 | 0.5 | -3 | 1.3 | 1.4 | 5.9 | 9.9 |
| 2016 | 0.2 | 3.1 | 0.4 | -0.6 | 0.8 | 0.4 | 0.2 | 0.7 | 0.3 | -1.4 | -0.4 | 0 | 3.8 |
| 2017 | -0.2 | 0 | 1 | 0.3 | 0.5 | 0 | 0.3 | -0.2 | 0.2 | -0.5 | 0.3 | 1 | 2.8 |
| 2018 | -0.5 | -0.7 | 1.4 | -0.3 | 1.2 | 0.8 | -0.2 | 0.3 | 0.5 | 0.5 | 0.2 | 0.7 | 4 |
| 2019 | 0.2 | 1.3 | 1 | 0.4 | -1 | 0.6 | -0.2 | -0.2 | -0.2 | 0.8 | 0.4 | 0.4 | 3.5 |
| 2020 | -0.6 | -4.4 | -9.9 | -1.7 | 1.9 | 0.8 | 1 | 1.6 | 1.2 | -2.2 | 0 | 1.2 | -11.2 |
| 2021 | 2 | 3.2 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
